Outlier detection and robust covariance estimation using mathematical programming
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Volume (Year): 4 (2010)
Issue (Month): 4 (December)
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References listed on IDEAS
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- Wolf, Michael & Ledoit, Olivier, 2000.
"A well conditioned estimator for large dimensional covariance matrices,"
DES - Working Papers. Statistics and Econometrics. WS
10087, Universidad Carlos III de Madrid. Departamento de Estadística.
- Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
- Schyns, M. & Haesbroeck, G. & Critchley, F., 2010. "RelaxMCD: Smooth optimisation for the Minimum Covariance Determinant estimator," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 843-857, April.
- Khan, Jafar A. & Van Aelst, Stefan & Zamar, Ruben H., 2007. "Robust Linear Model Selection Based on Least Angle Regression," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1289-1299, December.
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